Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.3702
Annualized Std Dev 0.4378
Annualized Sharpe (Rf=0%) -0.8457

Row

Daily Return Statistics

Close
Observations 3696.0000
NAs 1.0000
Minimum -0.2298
Quartile 1 -0.0142
Median -0.0026
Arithmetic Mean -0.0015
Geometric Mean -0.0018
Quartile 3 0.0093
Maximum 0.2400
SE Mean 0.0005
LCL Mean (0.95) -0.0023
UCL Mean (0.95) -0.0006
Variance 0.0008
Stdev 0.0276
Skewness 0.1838
Kurtosis 8.7212

Downside Risk

Close
Semi Deviation 0.0189
Gain Deviation 0.0221
Loss Deviation 0.0194
Downside Deviation (MAR=210%) 0.0244
Downside Deviation (Rf=0%) 0.0196
Downside Deviation (0%) 0.0196
Maximum Drawdown 0.9992
Historical VaR (95%) -0.0399
Historical ES (95%) -0.0637
Modified VaR (95%) -0.0405
Modified ES (95%) -0.0459
From Trough To Depth Length To Trough Recovery
2008-11-21 2021-02-12 NA -0.9992 3102 3077 NA
2006-07-24 2007-10-31 2008-10-09 -0.5630 559 322 237
2008-10-28 2008-11-04 2008-11-19 -0.3123 17 6 11
2008-10-10 2008-10-13 2008-10-24 -0.2322 11 2 9
2006-07-17 2006-07-19 2006-07-21 -0.0331 5 3 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA 3.6 -1.1 0.9 2.9 1.6 -0.1 7.9
2007 0.4 1.2 -0.3 -0.6 0.4 -0.7 -1.6 -1.5 -2.1 2.8 0.7 2 0.7
2008 -4 3.3 -7.8 -6.3 -0.9 -2.5 1.9 3.2 1.3 0.4 15.2 -1.7 0.3
2009 3.7 2 -2.9 -0.3 -6.1 -0.4 0.8 3.8 5.7 5.2 -2.2 1.8 10.8
2010 -2.1 -2.9 0.1 4 2 0.7 -0.5 -5.8 0.2 0 -4.3 0.6 -8
2011 -3.7 3.2 0 -0.1 4.2 -3.1 0.8 1.8 5.2 5.2 -1.5 0.6 12.9
2012 -1.6 -1.6 0.4 -0.3 5.3 -6.3 0.5 -1.4 0.2 -3 0.2 -4.2 -11.5
2013 -2.5 -0.9 1.4 0.9 2 -1.3 -2 1.3 -2.1 0 -1 -1.3 -5.4
2014 0.4 0.3 -3.5 -0.6 0 -2.2 0.7 -0.8 3.2 -2.8 2.3 2.2 -1
2015 1.5 0.9 1 -2.7 -0.6 -1.5 0.2 6.1 -0.9 0.9 -2.1 2.4 5.1
2016 -0.6 -6.3 -2 1 0.2 -0.9 -1.2 -0.5 -1.4 1.5 3.3 1.9 -5.3
2017 -1.3 -2.2 0.1 -1.7 -0.8 0.2 -0.4 0.1 -1.5 0 0.7 1.1 -5.6
2018 1.5 3 -3.6 -2.3 -3.2 -0.3 -1 -0.3 -0.4 -2.9 -1.5 -1.5 -12.1
2019 1 -1.4 -2.6 0.9 3.2 -2.7 1.3 0.4 1.7 -1.8 0.9 -0.3 0.2
2020 3.2 -0.7 8.3 5.9 -1.1 -2.4 -3.6 -3.2 -3 4.8 -2.7 -0.6 4.1
2021 -5 -5.9 -0.9 NA NA NA NA NA NA NA NA NA -11.4

Row

Price Chart

# tidytable [6 × 21]
  datadate    Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>      <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-07-13 24042. SPY    124  -0.0163 -0.027     0.0118  -0.0379   0.0128    0.231   0.0416 GLD    65.6  0.0097   0.0401
2 2006-07-14 24624  SPY    124. -0.0039 -0.0244    0.0002  -0.0403   0.005     0.229   0.0319 GLD    65.8  0.0046   0.0514
3 2006-07-17 24480  SPY    123. -0.0015 -0.0277   -0.022   -0.0413   0.0041    0.234   0.043  GLD    64.0 -0.0289   0.0311
4 2006-07-18 24320  SPY    124.  0.0051 -0.027    -0.0055  -0.0515   0.0132    0.259   0.0472 GLD    62.9 -0.0164  -0.0143
5 2006-07-19 23808  SPY    126.  0.0139 -0.00290   0.0163  -0.0402   0.0217    0.263   0.0371 GLD    64.0  0.018   -0.0137
6 2006-07-20 24528  SPY    125. -0.0068  0.0067    0.006   -0.048    0.0113    0.270   0.0212 GLD    62.5 -0.0233  -0.0459
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart